Tests for multiple breaks in the trend with stationary or integrated shocks

Nuno Sobreira, Luís Catela Nunes

Research output: Contribution to journalArticlepeer-review

3 Citations (Scopus)

Abstract

In this paper, we propose new tests of the presence of multiple breaks in the trend of a univariate time-series where the number and dates of the breaks are unknown and that are valid in the presence of stationary or unit root shocks. These tests can also be used to sequentially estimate the number of breaks. The behaviour of the proposed tests is studied through Monte Carlo experiments.

Original languageEnglish
Pages (from-to)394-411
Number of pages18
JournalOxford Bulletin of Economics and Statistics
Volume78
Issue number3
DOIs
Publication statusPublished - 1 Jun 2016

Keywords

  • CONSISTENT COVARIANCE-MATRIX
  • SERIAL-CORRELATION
  • STRUCTURAL-CHANGES
  • NOISE COMPONENT
  • TIME-SERIES
  • UNIT-ROOT
  • HYPOTHESIS
  • ROBUST
  • HETEROSKEDASTICITY
  • MODELS

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